Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation
Emma M. Iglesias (Department of Applied Economics II, Facultad de Economía y Empresa, Universidad de A Coruña, Campus de Elviña, Spain)
| Year of publication: |
November 2015
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| Authors: | Iglesias, Emma M. |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 50.2015, p. 1-8
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| Subject: | Pareto tail thickness parameter | GARCH-type models | Value at Risk | Extreme value theory | Heavy tails | Stock indexes | Eurozone | Risikomaß | Risk measure | Theorie | Theory | Aktienindex | Stock index | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | EU-Staaten | EU countries | Risikomanagement | Risk management | Börsenkurs | Share price | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.06.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011439601